Title :
Adaptive smoothing of the log-spectrum with multiple tapering
Author_Institution :
Courant Inst. of Math. Sci., New York Univ., NY
fDate :
7/1/1996 12:00:00 AM
Abstract :
A hybrid estimator of the log-spectral density of a stationary time series is proposed. First, a multiple taper estimated is performed, followed by kernel smoothing the log-multiple taper estimate. This procedure reduces the expected mean square error by (π2/4) 4/5 over simply smoothing the log tapered periodogram. A data-adaptive implementation of a variable-bandwidth kernel smoother is given
Keywords :
adaptive estimation; adaptive signal processing; error analysis; parameter estimation; smoothing methods; spectral analysis; time series; adaptive smoothing; data adaptive estimation; hybrid estimator; kernel smoothing; log multiple taper estimate; log spectral density; log spectrum; log tapered periodogram; mean square error reduction; multiple tapering; stationary time series; variable bandwidth kernel smoother; Bandwidth; Eigenvalues and eigenfunctions; Fourier transforms; Frequency estimation; Kernel; Matrix decomposition; Mean square error methods; Robustness; Smoothing methods; Statistics;
Journal_Title :
Signal Processing, IEEE Transactions on
